Investor Characteristics and Portfolio Value

Naoya Takezawa
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Naoya Takezawa: Graduate School of Business Administration, Nanzan University, 18 Yamazato-cho, Showa-ku, Nagoya 466-8873, Japan

Chapter 10 in Recent Advances in Financial Engineering 2010, 2011, pp 215-224 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper investigates portfolio value behavior when the investors possessing the portfolio exhibit heterogeneous characteristics by altering the fraction of wealth invested by each investor and each investor's risk aversion. Portfolio value is investigated when these investors face trading restrictions and prices are observable. The behavior of the portfolio risk characteristics is examined for specific scenarios and price processes.

Keywords: Operations Research; Financial Engineering; Management; Mathematical Modeling; Credit Risk; Real Options; Optimal Investment; Heterogeneous Beliefs (search for similar items in EconPapers)
Date: 2011
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